Yifeng Zhu

School of Finance, Central University of Finance and Economics

39 South College Road

Haidian District

Beijing, Beijing 100081

China

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 19,572

SSRN RANKINGS

Top 19,572

in Total Papers Downloads

3,144

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (13)

1.

Stock Return Asymmetry: Beyond Skewness

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu
Tsinghua University, Renmin University of China, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,399 (16,854)
Citation 2

Abstract:

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Stock return asymmetry, entropy, asset pricing

2.

Lottery Preference and Anomalies

Number of pages: 71 Posted: 04 Jun 2020 Last Revised: 01 Apr 2021
Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu
Tsinghua University, Georgetown University - Department of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 574 (58,549)

Abstract:

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Lottery preference factor, anomalies, asset pricing

3.

Idiosyncratic Skewness of Commodity Futures Returns

Number of pages: 36 Posted: 07 Jun 2019 Last Revised: 28 May 2020
Yufeng Han, Xuan Mo, Zhi Su and Yifeng Zhu
University of North Carolina (UNC) at Charlotte - Finance, Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics
Downloads 273 (138,021)
Citation 2

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Idiosyncratic skewness; Cross section; Commodity futures returns; IE

4.

Crude Oil Price Prediction: A Nonparametric Approach

26th Australasian Finance and Banking Conference 2013
Number of pages: 57 Posted: 23 Jul 2013 Last Revised: 15 Mar 2016
Yifeng Zhu
School of Finance, Central University of Finance and Economics
Downloads 230 (163,411)
Citation 1

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Crude oil price, nonparametric, forecast, random walk, entropy measure, stochastic dominance

5.

Value at Risk, Cross-Sectional Returns and the Role of Investor Sentiment

Journal of Empirical Finance, Vol. 56, 2020
Number of pages: 49 Posted: 06 Nov 2018 Last Revised: 07 Jan 2020
Jia Bi and Yifeng Zhu
School of Finance, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics
Downloads 147 (242,948)
Citation 3

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value-at-risk, investor sentiment, cross-section analysis

6.

Liquidity in Cryptocurrency Market and Commonalities across Anomalies

Number of pages: 29 Posted: 23 Apr 2020 Last Revised: 07 May 2020
Bingbing Dong, Lei Jiang, Jinyu Liu and Yifeng Zhu
Central University of Finance and Economics (CUFE), Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance and School of Finance, Central University of Finance and Economics
Downloads 130 (267,462)
Citation 1

Abstract:

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Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies

7.

Stock Return Asymmetry in China

Number of pages: 53 Posted: 19 Feb 2021 Last Revised: 20 Jul 2021
Ke Wu, Yifeng Zhu and Dongxu Chen
Renmin University of China, School of Finance, Central University of Finance and Economics and Renmin University of China
Downloads 103 (315,597)

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Stock return asymmetry, anomaly, factor model

8.

Margin Trading and Stock Idiosyncratic Volatility: Evidence from the Chinese Stock Market

International Review of Economics & Finance, Forthcoming
Number of pages: 37 Posted: 12 Oct 2018 Last Revised: 30 Jan 2021
Pingshu Gui and Yifeng Zhu
University of Chinese Academy of Social Sciences and School of Finance, Central University of Finance and Economics
Downloads 65 (414,200)

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Idiosyncratic volatility; Margin trading; Short sale constraint; Heterogeneous beliefs; Gaming behavior.

9.

The Wage Premium of Naturalized Citizenship

Advances in Econometrics, 36:315-348, 2016.
Number of pages: 43 Posted: 12 Jun 2015 Last Revised: 06 Sep 2019
Esfandiar Maasoumi and Yifeng Zhu
Emory University and School of Finance, Central University of Finance and Economics
Downloads 59 (434,828)

Abstract:

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Earning gap, citizenship, Stochastic Dominance tests, RIF regression, entropy measure

10.

Value at Risk and the Cross-Section of Expected Returns: Evidence from China

Pacific-Basin Finance Journal, 66, 101498
Number of pages: 67 Posted: 27 May 2020 Last Revised: 24 May 2021
Pingshu Gui and Yifeng Zhu
University of Chinese Academy of Social Sciences and School of Finance, Central University of Finance and Economics
Downloads 58 (438,371)
Citation 1

Abstract:

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Value-at-Risk, cross-sectional relation, equity returns, consumer confidence

11.

Alternative Lottery Measure and Cross-Sectional Returns

Number of pages: 51 Posted: 01 Mar 2021 Last Revised: 01 Jun 2021
Jia Bi and Yifeng Zhu
School of Finance, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics
Downloads 44 (493,743)

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Alternative lottery measure, Investor sentiment, Cross-section analysis

12.

How Does the Change in Left-Tail Risk Priced in China?

Number of pages: 77 Posted: 18 Feb 2021 Last Revised: 30 Jun 2021
Kaisi Sun, Hui Wang and Yifeng Zhu
Central University of Finance and Economics, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics
Downloads 33 (546,873)

Abstract:

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Change in left-tail risk, Equity returns, Capital gains overhang, Cross-section analysis

13.

What Drives the Tail Risk Effect in the Chinese Stock Market?

Number of pages: 50 Posted: 24 May 2021 Last Revised: 26 May 2021
Kaisi Sun, Hui Wang and Yifeng Zhu
Central University of Finance and Economics, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics
Downloads 29 (569,035)

Abstract:

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Tail risk, Mechanism analysis, Investor sentiment, Capital gains overhang, Short-selling constraint